weiGpdLik: Weighted GPD log-likelihood

In lognGPD: Estimation of a Lognormal - Generalized Pareto Mixture

Weighted GPD log-likelihood

Description

This function evaluates the zero-mean generalized Pareto log-likelihood function computed with weighted observations.

Usage

weiGpdLik(x, y, post)

Arguments

x	numerical vector (2x1): values of the parameters \xi and \beta.
y	numerical vector (nx1): observed data.
post	numerical vector (nx1) with elements in (0,1): weights of the observations (in the EM algorithm, posterior probabilities).

Value

llik real: numerical value of the log-likelihood function

Examples

y <- rlognGPD(100,.9,0,1,0.5,2)
x0 <- c(.7,.2,1.3,.8,1.7)
res <- EMlogngpdmix(x0, y, 1000)
llik <- weiGpdLik(c(res$beta,res$xi),y,res$post)

lognGPD documentation built on June 8, 2025, 11:05 a.m.